IIMB Management Review

Journal of Indian Institute of Management Bangalore

A method for convex minimization based on translated first-order approximations

A. Astorino, M. Gaudioso and Gorgone Enrico
Journal Name
Numerical Algorithms
Journal Publication
others
Publication Year
2017
Journal Publications Functional Area
Decision Sciences and Information Systems
Publication Date
Vol. 76, Issue 3, November 2017, Pg, 745–760
Abstract

We describe an algorithm for minimizing convex, not necessarily smooth, functions of several variables, based on a descent direction finding procedure that inherits some characteristics both of standard bundle method and of Wolfe’s conjugate subgradient method. This is obtained by allowing appropriate upward shifting of the affine approximations of the objective function which contribute to the classic definition of the cutting plane function. The algorithm embeds a proximity control strategy. Finite termination is proved at a point satisfying an approximate optimality condition and some numerical results are provided.

A method for convex minimization based on translated first-order approximations

Author(s) Name: A. Astorino, M. Gaudioso and Gorgone Enrico
Journal Name: Numerical Algorithms
Volume: Vol. 76, Issue 3, November 2017, Pg, 745–760
Year of Publication: 2017
Abstract:

We describe an algorithm for minimizing convex, not necessarily smooth, functions of several variables, based on a descent direction finding procedure that inherits some characteristics both of standard bundle method and of Wolfe’s conjugate subgradient method. This is obtained by allowing appropriate upward shifting of the affine approximations of the objective function which contribute to the classic definition of the cutting plane function. The algorithm embeds a proximity control strategy. Finite termination is proved at a point satisfying an approximate optimality condition and some numerical results are provided.